PCEF Options History — October 2022

In October 2022, PCEF traded between $17.32 and $18.21. ATM implied volatility averaged 43.2%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 20.9% (HV 20d: 22.3%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2022-10-14: Highest Volume — 79 contracts
  • 2022-10-24: Largest IV spike — 67.4% change
  • 2022-10-07: Highest IV Rank — 50.8%
  • 2022-10-31: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.75$17.32$18.21$17.82$18.15
Max Pain$18.25$17.00$19.00$17.00$19.00
ATM IV43.2%26.2%58.2%55.4%57.2%
Expected Move11.6%5.6%16.4%15.9%16.4%
HV 20d22.3%15.5%26.0%24.4%15.5%
HV 60d22.7%22.2%23.0%22.2%22.6%
IV Rank36.6%20.6%50.8%48.0%49.8%
IV Percentile80.3%50.8%96.4%95.2%95.6%
Term Structure-19.9%-35.3%6.1%-14.8%-34.5%
VWIV41.8%10.9%53.8%52.8%53.8%
Skew 25d8.1%-34.7%40.3%-9.8%36.3%
Skew 10d-3.9%-45.2%42.3%42.3%16.6%
Call IV 25d41.2%19.0%65.7%65.7%19.0%
Put IV 25d49.3%16.9%61.7%56.0%55.4%
Bid-Ask Spread %148.78131.26163.07144.95144.20
Gamma HHI0.340.280.510.290.34
Net GEX-3.4K-7.9K-1.5K-1.8K-4.1K
Net DEX70.8K51.3K94.9K51.9K55.7K
Net VEX-289-351-226-348-259
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.671.321.821.321.71
Total Volume71.66765796565
Total OI117.524108126113108

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$17.82$17.0055.4%15.9%24.4%48.0%52.8%-9.8%-14.8%-1.8K51.9K-3481.32144.95N/AN/A28374073
2022-10-04$18.21$17.0046.2%13.2%26.0%39.4%51.1%2.7%-13.4%-7.9K62.8K-2701.32147.15N/AN/A28374073
2022-10-05$18.18$17.0043.8%12.5%25.7%37.1%48.1%-34.7%-6.8%-5.7K61.6K-2911.32137.65N/AN/A28374073
2022-10-06$17.98$0.0057.7%11.5%25.9%50.2%0.0%5.3%-23.1%-4.6K65.2K-2981.39145.31N/AN/A28394073
2022-10-07$17.65$0.0058.2%11.9%25.9%50.8%0.0%5.1%-26.6%-1.5K51.3K-3511.39152.87N/AN/A28394075
2022-10-10$17.57$0.0031.7%7.0%25.8%25.8%23.4%9.9%-15.0%-2.3K65.2K-2991.79135.69N/AN/A28504075
2022-10-11$17.51$18.0039.6%5.6%25.2%33.2%13.8%0.8%-13.6%-3.1K90.6K-2731.79145.46N/AN/A28504086
2022-10-12$17.52$18.0026.2%7.5%23.0%20.6%10.9%-2.1%-29.2%-2.0K74.7K-3321.79153.95N/AN/A28504086
2022-10-13$17.54$18.0032.6%9.3%22.7%26.6%23.7%1.5%-29.4%-1.9K70.1K-3341.79159.15N/AN/A28504086
2022-10-14$17.32$0.0046.1%13.2%21.9%39.3%44.0%3.2%-8.1%-1.8K71.7K-3241.82151.13N/AN/A28514084
2022-10-17$17.55$19.0030.3%8.7%22.7%24.5%33.5%0.7%-16.4%-3.0K94.9K-2351.82131.26N/AN/A28514085
2022-10-18$17.67$19.0029.3%8.4%22.8%23.5%45.4%4.2%-3.0%-1.9K73.2K-3141.82153.05N/AN/A28514085
2022-10-19$17.53$19.0045.5%13.0%22.9%38.7%48.7%2.5%-33.0%-1.9K74.2K-3081.82163.07N/AN/A28514085
2022-10-20$17.47$19.0047.8%13.7%22.8%41.0%47.7%2.4%-9.0%-1.8K75.0K-2991.82158.95N/AN/A28514085
2022-10-21$17.68$19.0028.5%8.2%21.5%22.7%51.3%3.4%6.1%-2.0K78.5K-2941.82155.22N/AN/A28514085
2022-10-24$17.62$19.0047.7%13.7%20.3%40.8%51.1%29.9%-34.4%-3.1K70.5K-2741.71152.97N/AN/A24413675
2022-10-25$17.82$0.0038.2%10.9%20.6%31.9%48.4%33.2%-18.0%-3.7K70.7K-2571.71158.79N/AN/A24413674
2022-10-26$17.90$0.0042.1%12.1%19.1%35.6%42.0%16.2%-25.9%-5.6K79.7K-2261.71141.35N/AN/A24413674
2022-10-27$17.90$0.0051.7%14.8%16.8%44.7%51.5%18.7%-35.3%-5.3K76.1K-2431.71141.52N/AN/A24413674
2022-10-28$18.06$0.0052.1%15.0%17.0%45.0%53.5%40.3%-34.6%-6.4K73.6K-2371.71150.69N/AN/A24413674
2022-10-31$18.15$0.0057.2%16.4%15.5%49.8%53.8%36.3%-34.5%-4.1K55.7K-2591.71144.20N/AN/A24413672